Blood In The Streets: Systematic Funds Suffer Worst Day Since 2023 On Another Momentum Meltdown

Correlations are cracking everywhere you look, and the systematic funds that trade on them are suddenly getting crushed.

Earlier today we showed some remarkable facts laid out by Goldman's trading desk, which pointed out how Semis & Software had gotten "Caught Up In The Momentum Maelstrom", and while Momentum rebounded from the lows following the de-leveraging episode at the end of July, Tuesday's High Beta Momentum plunge underscored how reactive the factor is to even modest moves in the S&P (and S&P Ex-AI) which both barely budged) and how extreme factor volatility remains relative to index volatility.